We introduce and study a randomized quasi-Monte Carlo method for estimating the state distribution at each step of a Markov chain. The number of steps in the chain can be random an...
Infinitely divisible random vector without Gaussian component admits representations of shot noise series. Due to possible slow convergence of the series, they have not been inves...
What actuaries call cash flow testing is a large-scale simulation pitting a company's current policy obligation against future earnings based on interest rates. While life co...
We review the basic principles of Quasi-Monte Carlo (QMC) methods, the randomizations that turn them into variancereduction techniques, and the main classes of constructions under...
Abstract. The convergence of Monte Carlo method for numerical integration can often be improved by replacing pseudorandom numbers (PRNs) with more uniformly distributed numbers kno...